I know that the fashion style unicorns would have a gaping hole in their head if they lost their horn. I have yet to behead any of my own playful pony unicorns to answer your question though.
Since you need to pull their heads off anyway to rehair them, you can check and see if it's hollow or not from the inside?
Edit: Forgot to answer the other question. I think an exacto knife and sandpaper will do just fine if the horn isn't hollow. Otherwise if there is a hole, you can always make extra plug holes in the head in front of the hole, and after you rehair just push the hair back behind the ears to hide it without needing to fill it in (conveniently, it's how they style their hair on the show the first place). Plus, since they wear bandannas, there is extra coverage.
I hope my wording makes sense...